Advances in computer processing technology have enabled researchers to analyze real-time brain activity and build real-time closed-loop paradigms. In many fields, the effectiveness of these closed-loop protocols has proven to be better than that of the simple open-loop paradigms. Recently, sleep studies have attracted much attention as one possible application of closed-loop paradigms. To date, several studies that used closed-loop paradigms have been reported in the sleep-related literature and recommend a closed-loop feedback system to enhance specific brain activity during sleep, which leads to improvements in sleep’s effects, such as memory consolidation. However, to the best of our knowledge, no report has reviewed and discussed the detailed technical issues that arise in designing sleep closed-loop paradigms. In this paper, we reviewed the most recent reports on sleep closed-loop paradigms and offered an in-depth discussion of some of their technical issues. We found 148 journal articles strongly related with ‘sleep and stimulation’ and reviewed 20 articles on closed-loop feedback sleep studies. We focused on human sleep studies conducting any modality of feedback stimulation. Then we introduced the main component of the closed-loop system and summarized several open-source libraries, which are widely used in closed-loop systems, with step-by-step guidelines for closed-loop system implementation for sleep. Further, we proposed future directions for sleep research with closed-loop feedback systems, which provide some insight into closed-loop feedback systems.